Morningstar DBRS Confirms Credit Rating on Bumper DE S.A., acting on behalf and for the account of its Compartment 2023-1 and its Compartment 2023-2

DBRS Ratings GmbH (Morningstar DBRS) confirmed its AAA (sf) credit rating on the Class A Notes issued by Bumper DE S.A., acting on behalf and for the account of its Compartment 2023-1 and its Compartment 2023-2 (the Issuer).

The credit rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal on or before the legal final maturity date in August 2032.

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults, and losses as of the December 2023 payment date;
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables;
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the AAA (sf) credit rating level.

The transaction is a securitisation of auto lease agreements granted and serviced by LeasePlan Deutschland GmbH (LPDE) to corporate, small and medium-size enterprises, retail, and public sector clients in Germany. The residual value (RV) claims related to the auto leases are securitised in the transaction. The transaction includes a 12-month revolving period, which ends with the February 2024 payment date.

PORTFOLIO PERFORMANCE
As of the December 2023 payment date, loans two to three months in arrears represented 0.0% of the outstanding portfolio balance, stable since the closing date in February 2023. The 90-plus day delinquency ratio remains unchanged at 0.0% since closing and the cumulative default ratio has increased to 0.3% from 0.0% at closing.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and has decreased its base case PD to 1.3% from 2.0% at closing; Morningstar DBRS has maintained its base case LGD assumption at 24.0%. The decrease in the base case PD reflects the decrease in the weighted-average life of the transaction. Morningstar DBRS also updated its RV haircut to 36.2% at the AAA (sf) credit rating level, which is down from 38.4% at closing.

CREDIT ENHANCEMENT
Credit enhancement to the Class A Notes is provided by the subordinated loan. As of the December 2023 payment date, credit enhancement to the Class A Notes remained unchanged at 25.9% because of the transaction still being in the revolving period.

The transaction benefits from an amortising liquidity reserve that was fully funded at EUR 8.1 million on the closing date. The liquidity reserve is available to cover senior fees, interest rate swap payments, and interest on the Class A Notes during both the revolving and the amortisation periods. The target amount of the liquidity reserve is set at 1.6% of the Class A Notes’ outstanding balance, with a floor of EUR 5 million.

The transaction also benefits from a commingling reserve, a set-off reserve, and a maintenance reserve, which will be funded upon the breach of the reserve trigger event (loss of the investment-grade credit rating of LPDE or of the controlling party), which has not occurred so far since closing.

ABN AMRO Bank N.V. (ABN AMRO) acts as the account bank for the transaction. Based on the account bank reference rating of ABN AMRO at AA (low), which is one notch below the Morningstar DBRS Long Term Critical Obligations Rating (COR) of AA, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit rating assigned to the notes, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology.

ING Bank N.V. (ING) acts as the swap counterparty for the transaction. Morningstar DBRS' Long Term COR of ING at AA (high) is above the First Rating Threshold as described in Morningstar DBRS' "Derivative Criteria for European Structured Finance Transactions" methodology.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental, Social, or Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the “Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings” at https://dbrs.morningstar.com/research/427030.

Morningstar DBRS analysed the transaction structure in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit rating is the “Master European Structured Finance Surveillance Methodology” (11 December 2023), https://dbrs.morningstar.com/research/425148.

Other methodologies referenced in this transaction are listed at the end of this press release.

Morningstar DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other Morningstar DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://dbrs.morningstar.com/research/421590.

The sources of data and information used for this credit rating include investor reports provided by LPDE, and loan-level data provided by the European DataWarehouse GmbH.

Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial credit rating, Morningstar DBRS was supplied with third-party assessments. However, this did not impact the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purpose of providing this credit rating to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this transaction took place on 23 February 2023, when Morningstar DBRS finalised its AAA (sf) credit rating on the Class A Notes.

The lead analyst responsibilities for this transaction have been transferred to Shalva Beshia.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies is available at www.dbrsmorningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (the Base Case):
-- Morningstar DBRS expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD assumptions, and the RV haircut assumption at the AAA (sf) rating level are: PD of 1.3%, LGD of 24.0%, and RV haircut at AAA (sf) of 36.2%.
-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

Class A Notes Risk Sensitivity:
-- 25% increase in RV haircut, expected credit rating of AAA (sf)
-- 50% increase in RV haircut, expected credit rating of AA (high) (sf)
-- 25% increase in PD and LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and LGD, and 25% increase in RV haircut, expected credit rating of AA (high) (sf)
-- 25% increase in PD and LGD, and 50% increase in RV haircut, expected credit rating of AA (sf)
-- 50% increase in PD and LGD, and 25% increase in RV haircut, expected credit rating of AA (sf)
-- 50% increase in PD and LGD, and 50% increase in RV haircut, expected credit rating of A (high) (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Credit Rating Date: 6 February 2023

DBRS Ratings GmbH
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60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (11 December 2023),
https://dbrs.morningstar.com/research/425148
-- Legal Criteria for European Structured Finance Transactions (30 June 2023),
https://dbrs.morningstar.com/research/416730
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2023),
https://dbrs.morningstar.com/research/420572
-- Operational Risk Assessment for European Structured Finance Originators (15 September 2023),
https://dbrs.morningstar.com/research/420573
-- Interest Rate Stresses for European Structured Finance Transactions (15 September 2023),
https://dbrs.morningstar.com/research/420602
-- Rating CLOs Backed by Loans to European SMEs (22 October 2023) and SME Diversity Model v.2.6.1.4,
https://dbrs.morningstar.com/research/422274
-- Rating European Structured Finance Transactions Methodology (11 December 2023),
https://dbrs.morningstar.com/research/425149
-- Derivative Criteria for European Structured Finance Transactions (18 September 2023),
https://dbrs.morningstar.com/research/420754
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024),
https://dbrs.morningstar.com/research/427030

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at https://dbrs.morningstar.com/research/278375.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.